A Bayesian semi-parametric approach to extreme regime identification

DOI10.1214/15-BJPS293zbMath1359.62080MaRDI QIDQ509588

Yong-Cai Geng, Sumit K. Garg

Publication date: 17 February 2017

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

extreme value theoryBayesian inferenceMCMCenvironmental datageneralized Pareto distribution (GPD)GPD distributionmixture of Gammas distributions

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

A change-point approach for the identification of financial extreme regimes

Uses Software

• R
• robust
• robustbase

This page was built for publication: A Bayesian semi-parametric approach to extreme regime identification